Positioning and walls

The number of outstanding contracts at each individual strike and expiry, published daily by the exchange.

The raw material for every positioning study on this page. It is a genuine, reported figure, unlike almost everything derived from it. It updates once a day, after the close.

The day-on-day difference in outstanding contracts at a strike, indicating whether positions were opened or closed.

Volume without an open interest change means positions changed hands. Volume with an increase means new exposure was created. The distinction matters and is frequently ignored.

The strike above the current price carrying the largest concentration of call open interest.

Described as an area where dealer hedging may resist further advance. It is a description of where contracts sit, not a barrier, and it moves whenever open interest is rebuilt.

The strike below the current price carrying the largest concentration of put open interest.

The mirror of the call wall, and subject to the same caution: a concentration of contracts is not a floor, and treating it as one confuses a map for a wall.

The strike where estimated aggregate gamma exposure is largest, rather than where raw open interest is largest.

It often sits at a different strike than the call or put wall, because gamma weights contracts by their sensitivity rather than counting them. Same positioning assumption, same caveat.

The strike at which the largest total value of open options would expire worthless.

Framed as a level price gravitates toward at expiry. The theory requires a coordinated interest that has never been demonstrated, and the calculation shifts as open interest changes, so treat it as a curiosity rather than a finding.

The observed tendency for an underlying to close near a heavily traded strike on expiry day.

Attributed to hedging activity unwinding as contracts approach certain expiry. It is better documented in single stocks than in indices, and it describes a tendency rather than a rule.